资源描述：
《巴黎银行-新兴市场-宏观策略-BNPP全球风险溢价：派对结束之时-2019070.pdf》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。
1、FLALATINAMERICASTRATEGYSHPleaserefertoimportantinformationattheendofthereportEMERGINGMARKETS02July2019TMBNPP-GlobalRiskPremium:Whentheparty’sover…GabrielGerszteinGlobalHeadofEmergingMarketsKEYMESSAGESStrategyTheBNPParibasglobalriskpremiummodelsuggestsriskassetsarenearingover-bou
2、ghtBancoBNPParibasBrasilS.A.levelsandthat–allelseequal–apullbackinthecurrentrally(β)and/orincreasingdifferentiation(α)acrossriskassetsisthereforeexpected.InthelastweekofMay,themodelsignalledthatinvestorriskappetitewascriticallylow,Performanceofselectedassetsindicatingapotentiala
3、ppreciationinEMriskassets,andasaresultweheldourtradeideassincetriggeringlong/overweighttoreceivelocalcurrencyratesinBrazilandMexicoandbelongselectedEMcurrencies,signalon27May2019:evenaftertheUSimposedtariffsonChinesegoods.EMCDX-42bpOurapproachassessesshort-termdynamicsandisnotus
4、edforstructuralcalls.OurBRL-USD+5.2%decisiontoenter2019fully-investedandtoscalebackpositionsattheendofJanuarywasTRY-USD+7.0%basedonit.PLN-USD+2.3%EUR-USD+1.0%Ratesstrategy:weclosedthemajorityofourdirectionalpositionsandswitchedintorelativeEMFXIndex+2.3%valueorflatteningtradesinB
5、razil,SouthAfrica,Hungary,andMexico.WearepayingratesEMMSCI+4.3%inColombia(5yIBR)andChile(1yCLPxCAM).InFX,65%ofourlongpositions(CLP,BRL,BarclaysEMAgg+3.2%andHUF)areagainsttheEUR;onlyPLNandCZKareagainsttheUSD.BarclaysGlobalHY+2.6%Asof1July20191RiskpremiummodelupdateThemodel’sretur
6、ntotheover-boughtcampsuggeststhat,allelseequal,apullbackinthecurrentrally(β)and/ordifferentiation(α)acrossriskassetsisexpected.Yet,asthemodelaimstomatchex-anteriskwithex-postreturn,riskassetpricesareonlylikelytoremainstableorevencontinueappreciating,ifthereisaconsiderabledropinr
7、isk(30-dayimpliedvolatility).Fig.1-2:BNPParibasglobalriskpremiummodel(riskappetite)ContrarianrecommendationinthemiddleofabearishmarketFullyinvestedatthebeginningoftheyearShortTermRiskPremiumCycle1.0Appetiteislow,()()()()but,atextremeRiskPremiumLowRiskPremiumHigh0.8()()valu
8、esreversalprobabilityishighP↑remium0.5Triggerto
